After connecting by remote desktop to a machine, the initial welcome screen is displayed then the screen goes black.
Press CTRL-ALT-END and wait (it might take a while). When the Cancel button is visible, hit Cancel. Now the screen goes back to normal.
When you connect to a host running Microsoft Vista remote via Remote Desktop, the Shut down button is replaced by Disconnect.
To shutdown the host remote click on Windows Security just above the normal place for the shutdown/logout/disconnect buttons. This will bring up the standard screeen for switching user, task manager etc. At the right a red button is visible and under this the Shut down option is accessible.